Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1179
Annualized Std Dev 0.2052
Annualized Sharpe (Rf=0%) 0.5744

Row

Daily Return Statistics

Close
Observations 4396.0000
NAs 1.0000
Minimum -0.1189
Quartile 1 -0.0051
Median 0.0012
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0069
Maximum 0.1055
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0129
Skewness -0.2555
Kurtosis 7.8102

Downside Risk

Close
Semi Deviation 0.0094
Gain Deviation 0.0088
Loss Deviation 0.0101
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.5555
Historical VaR (95%) -0.0202
Historical ES (95%) -0.0311
Modified VaR (95%) -0.0196
Modified ES (95%) -0.0351
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2011-04-26 -0.5555 877 339 538
2020-02-20 2020-03-23 2020-06-08 -0.3039 76 23 53
2018-09-04 2018-12-24 2019-04-26 -0.2373 162 78 84
2011-04-29 2011-10-03 2012-02-03 -0.1876 194 109 85
2004-01-21 2004-08-12 2004-12-06 -0.1844 222 142 80

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA NA 0 1.5 -0.5 1
2004 -0.2 1.5 0.9 -2.1 0.1 -1.6 0.1 0.6 2.4 0.4 1.8 -0.2 3.7
2005 0.3 1 -0.5 0.9 0.4 0.1 0.4 -0.2 0.4 -0.2 1.7 -0.6 3.8
2006 0.4 1.3 0.1 -0.8 1.9 -0.2 -1.4 0.4 -0.4 -1.5 -0.7 -0.3 -1.4
2007 0.6 -0.4 0.2 0.1 0.5 -0.4 0.5 1.3 1.5 -2.1 -0.5 -0.9 0.3
2008 1.1 -2.4 3.6 2.9 0.4 0.6 -0.5 -1.8 -1.9 1.6 -7.8 1.7 -2.9
2009 -2 -1.4 1.3 -0.5 3.6 0.5 0.3 -2.1 -3.1 -2.4 1.4 -0.4 -5.1
2010 0.9 1.4 -0.1 -1.9 -1.5 -0.3 -0.5 2.9 0.2 -0.6 2.1 -0.5 2.1
2011 2 -1.4 -0.1 0 -1.8 1.7 -0.4 -1.7 -2.3 -3.1 0.5 0.2 -6.3
2012 1 0.8 -0.2 -0.1 -2.6 3.2 -0.8 0.4 -0.2 1.8 0.3 1.5 5.1
2013 1.1 0.2 -1 -0.9 -0.8 0.8 0.9 -0.7 1.6 0 0.4 0.3 1.8
2014 -0.3 -0.5 1.5 0.3 -0.2 1.2 -0.4 0.5 -1.5 1.7 -1.3 -1 -0.1
2015 -0.9 -0.3 -0.7 1.3 0.1 0.3 0.2 -3.1 0.1 -0.3 0.7 -1.2 -3.7
2016 0.6 2.8 0.8 -0.6 0.1 0.5 0.3 0.1 0.9 -0.7 -1.6 -1 2
2017 0.5 1.2 0.2 0.8 0.7 -0.1 0.2 0.2 0.6 -0.2 -0.4 -0.6 3
2018 -0.3 -1.3 1.7 0.7 1.4 0.2 0.4 0.3 -0.2 1.9 0.8 0.6 6.4
2019 -0.3 0.9 1.4 -0.6 -1.6 0.9 -0.9 0 -1.1 1.2 -0.5 0.5 -0.4
2020 -1.7 0.3 -4.3 -3.1 0.6 1.2 1.3 1.5 1.3 -2.4 1.6 0.2 -3.9
2021 2.7 3 0.3 NA NA NA NA NA NA NA NA NA 6.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-10-01  73.2 SPY    102.  0.0213  0.00960  -0.007    0.0232    0.191   -0.292       NA <NA>     NA    NA       NA
2 2003-10-02  73.5 SPY    102.  0.0036  0.0216   -0.0088   0.0376    0.232   -0.281       NA <NA>     NA    NA       NA
3 2003-10-03  75.2 SPY    103.  0.0092  0.0344   -0.0002   0.0267    0.256   -0.278       NA <NA>     NA    NA       NA
4 2003-10-06  75.8 SPY    104.  0.0045  0.029     0.01     0.0268    0.285   -0.289       NA <NA>     NA    NA       NA
5 2003-10-07  76.4 SPY    104.  0.0039  0.0431    0.0056   0.0366    0.318   -0.274       NA <NA>     NA    NA       NA
6 2003-10-08  75.9 SPY    104  -0.0025  0.0188    0.0097   0.0473    0.294   -0.277       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart